Quality Matters. Not all colored pencils are the same. Cheap colored pencils tend to have harder wax leads and less pigment which mean they produce less vibrant colors and have a tendency to leave some white spaces uncovered in the grain of the paper. Because the lead is hard, cheaper pencil leads often have a tendency break and if the lead breaks throughout the length of the pencil you can be left with something that is unusable.
Build your colors gradually, and layer them. Apply a light undertone, and build darker colors slowly on top. Crayons can actually be more difficult to layer with due to the high wax content. Don't confuse them with colored pencils! If you want the "look" colored pencil, just use that instead.